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Find the holding-period return

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Reference no: EM133275294

The multiplier for a futures contract on a stock market index is $250. The maturity of the contract is 1 year? the current level of the index is 17300 and the risk-free interest rate is 0.5% per month. The dividend yield on the index is 0.2% per month. Suppose that after 1 month, the stock index is at 1,320.

a. Find the cash ?ow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly.

b. Find the holding-period return if the initial margin on the contract is $137000.

Reference no: EM133275294

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